Empirical Research On Spillover Effects Among Spot Index,Index ETF And Index Futures

The correlation between Index Features,as one of derivatives to hedge system risk of stock market,and spot market is always pay close attentions in academic community.In later,Index tracking fund ETF is much developing as efficient and convenient alternative of Index,to enrich methods of indexing investment and interest arbitrage.Based on upper description,this paper regards Spot Index,Index Features and ETF as a correlative financial system,to analyses in quantitative their mean and volatility spillover effect,through build up VAR model by applying impulse response function and generalized Variance Decomposition of Deviation.Furthermore,it also introduces Investor Sentiments to analyze in further the correlation based on spillover effect among them.Research results demonstrates that Spot Index,Index Features and ETF have bidirectional mean and volatility spillover effect.In aspect of mean spillover effect,it concludes that this effect between ETF and Index Feature is stronger that reflects more close relation of yield,which imply stronger mean spillover effect between them;Meantime,net mean spillover effect flows to Spot Index from the other markets,which imply when considering mutual impact on yield rate,the former is weaker than the latter.In aspect of volatility spillover effect,it demonstrates that impact on price volatility of Index Feature from outside markets is much more than inside changes,and volatility spillover effect inside spot markets,i.e.Spot Index and ETF,is much more than that between the spot and future markets;Meantime,it finds this kind of effect will not disappear in short term.In aspect of investor sentiments,it demonstrates that yield rate will increase while volatility will decrease when investor sentiments are rising;There is significant bidirectional influence between the spillover effects among above three financial markets and changing of investor sentiments;After adding investor sentiments,the overall mean spillover index in spot and future market system increases about 20%while the overall volatility spillover index increases about 15%,which means investor sentiments increase the relevance of yield rate and volatility inside the financial markets;Furthermore,it finds that investor sentiments suppress mean spillover between spot and future market and volatility spillover inside spot market,while enhance yield rate spillover inside spot market and volatility spillover between spot and future market.